Inv Obj & Perf Update

Close AllBlue Fund Limited
05 March 2007

FOR IMMEDIATE RELEASE

5 March 2007

CLOSE ALLBLUE FUND LIMITED (THE 'COMPANY')

MONTHLY PERFORMANCE REVIEW FOR JANUARY 2007


INVESTMENT OBJECTIVE

Close AllBlue Fund Limited (the 'Company') is a Guernsey incorporated,
closed-ended investment company.  The investment objective of the Company is to
provide its Sterling, US Dollar and Euro shareholders with consistent long-term
capital growth through an investment policy of investing substantially all of
each share class' assets in the Sterling, US Dollar and Euro shares in AllBlue
Limited respectively.

AllBlue Limited provides access to a portfolio of seven diversified strategies
managed by BlueCrest Capital Management L.P. and managers with close links to
BlueCrest.  These include the BlueCrest flagship fund with a mixed arbitrage
strategy (BlueCrest Capital International Limited), an equity long/short fund
(BlueCrest Equity Fund Limited), an emerging markets macro strategy fund
(BlueCrest Emerging Markets Fund Limited) and a systematic trading process fund
(BlueTrend Fund Limited).

The net asset values ('NAV') of the Company's Shares as at the close of business
on 31 January 2007 were:-

                               Total Return    Last          Since
                    NAV        Last Month      Quarter       Launch**
Sterling Shares    £1.0332       1.76%         5.39%          5.41%
US Dollar Shares   $1.0362       1.78%         5.46%          5.71%
Euro Shares        €1.0216       1.63%         4.96%          4.22%


**Based on opening NAV, being the Issue Price less Formation and Initial
Expenses, of £0.9802 per Sterling Share, $0.9802 per US Dollar Share and €0.9802
per Euro Share.


PERFORMANCE REPORT OF ALLBLUE LIMITED FOR THE MONTH OF JANUARY 2007

The following portfolio performance report for AllBlue Limited has been provided
to the Company by BlueCrest Capital Management Limited.  Whilst the Company
believes that the information has been received from a reliable source, the
Company is not able to verify the information and accepts no responsibility for
the accuracy of the comments made or figures given in the report, and neither
should any responsibility be implied.


REPORT BY BLUECREST ON ALLBLUE LIMITED
Investments in:  Capital            Free Cash By                   Weighted
                 Allocation%         Sector %         %Return       Return
Mixed Arb            20                  62             1.39         0.10
Systematic           24                  77             4.31         0.94
Equity               23                  53             1.27         0.09
Low Beta              1                  91             0.33         0.03
Emerging Markets     22                  52             4.36         0.32
Credit Arb            8                  46             1.41         0.23
Event Driven          2                   0             0.83         0.06
Total               100%                                             1.77%


Following the trend from December, January posted positive contributions from
all underlying AllBlue components. The greatest contributions this month again
came from Systematic and Emerging Markets.

Rates benefited from having a bearish bias on fixed income US and Euro markets
as the market dropped on the back of strong data. Gains were offset by the being
long on vol (on the long end) as vol was heavily sold off. Movements in
underlying positions recovered about 50% of the loss (long positions in the
short end of the Swiss market against short in the Euro and US dollar, which
declined more than anticipated).

We see low appetite in macro Dollar Risk, based on the market selling off a
large number already, and is now close to pricing a Fed on hold for the next 6
months. Based on stronger growth, high money supply and upside risk attributed
to inflation from oil and wages. Appetite for Euro risk is relatively high, as
we feel the ECB will hike more than is currently priced. In terms of vol, the
levels to go long are the best seen in several years and realised vol is good as
well.

US dollar RV trades placed during the fourth quarter of last year worked very
well during January, as did some of the long gamma positions in Europe. Other
positive contributions within RV came from large moves in rate profile on the
European yield curve. This was slightly offset by the surprise move from the
bank of England on January 11th, which resulted in some drawdowns in our
sterling positions; however, these drawdowns were more than offset by the gains
in other currencies.

Systematic started the year strongly, particularly from short interest rate
movements and continued strength in the Equity markets. With the model holding a
strong short position, particularly in the shorter-rate products, the surprise
move by the Bank of England proved to be beneficial, driving most of the returns
for the month. Following the December upward trend, Equities continued their
upward climb and the Yen continued to appreciate against the dollar. Energies
and Metals were traded lightly.

Equity was relatively flat in January, with long positions contributing 2.6% and
the short book down 2.2%.  At a sector level, performance was driven by Banks
and Travel and Leisure. Industrials and Technology were the worst performers.
Most value this month was seen in the portfolio's long exposure to mid-cap
stocks, contributing over 1.8%.

Although December strength throughout the Emerging Markets asset class carried
into January, it dissipated within a few trading sessions, as volatility
increased in US interest rates, equities and commodities. Despite this, fund
flows into Emerging Markets continued to be supportive during the month of
January, with retail inflows into external debt exceeding $1.211 billion,
compared to $1.14 billion in December. Our local markets long exposure was
concentrated in Brazil, Mexico, Turkey, South Africa and Hungary, with short
positions in India and the Czech Republic. Our external debt exposure was
concentrated in long positions in Argentina, Turkey, Brazil, Russia, and
GazProm, and short positions in Philippines, Ecuador, Iraq, Slovakia, and
Hungary. Our Equity exposure was mixed, the best performers concentrated in
smaller markets. China still dominated our universe as the mainland saw great
sector volatility.

Event Driven achieved its eighth consecutive month of positive returns. Main
contributions came from the construction and materials sector, followed closely
by the industrial goods sector. Positions that remained stable throughout 2006
drove performance.

Credit Arbitrage performance was broadly distributed across all of its
strategies, with strongest contributions coming from Intra-Credit, Inter-Credit
and Correlation trades.

Top Intra-Credit performers included Healthcare, Leisure, European Media and
European Industrials. Intra-Credit performers were bonds vs CDS trades, cap
structure trades and curve positions. Correlation profits were driven by a
5-year equity correlation rally and Index Arbitrage profits came from reverse
arbitrage trades and CDX indices risk.


Disclaimer:

This publication is issued by Close AllBlue Fund Limited (the 'Company') for
informational purposes exclusively to and for the benefit only of shareholders
in the Company and to no one else; and accordingly the Company accepts no
responsibility for the use any third party might make of the information herein
contained and neither is any responsibility implied.

Information on AllBlue Limited and its underlying funds have been provided to
the Company by BlueCrest Capital Management Limited and the Company is not
responsible for, nor does it warrant, the accuracy of such information.
Although BlueCrest Capital Management Limited believes that the information on
AllBlue Limited and its underlying funds is materially correct, no warranty is
given as to the accuracy of the information provided.

This publication may not be relied upon in evaluating the merits of investing in
any securities referred to herein.  Neither is it intended as and is not to be
taken as an offer or solicitation with respect to the purchase or sale of any
security, nor does it constitute an offer or solicitation in any jurisdiction,
including those in which such an offer or solicitation is not authorised or to
any person to whom it is unlawful to make such a solicitation or offer.

Where in this document an estimate of the Net Asset Value of a share in the
Company is given, although the information is believed to be materially correct,
no warranty is given as to the accuracy of the information provided.

The Company's underlying investment programme is speculative in nature and
entails substantial risks.  The underlying investments may be subject to sudden
and large falls in price or value and there could be a large loss upon
realisation which could equal the total amount originally invested.

Further information about Shares in Close AllBlue Fund Limited may be found on
the Company's website at www.closeallbluefund.com.


For further Company shareholder information about investing in the Company
contact:  Marc Gordon or Richard Bolchover of Close Fund Management
(Investments) Limited, the Shareholder Liaison Agent, Tel: London 020 7426 4000.

Neither this press release nor any part of it may be released, mailed,
transmitted, copied, distributed, taken or otherwise sent in or into the United
States of America, Canada, Australia or Japan.  Any failure to comply with these
restrictions may constitute a violation of United States of America, Canada,
Australia or Japanese Securities laws.


Anson Fund Managers Limited
Company Secretary.

Tel: Guernsey 01481 722260

END OF ANNOUNCEMENT


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